Description Usage Arguments Examples
Expected Shortfall of the assets or portfolio of an object of class Strategy
.
1 2 3 4 5 6 7 8 9 10 11 12 | ES(object, alpha=0.05, V=1
, type="normal.distribution", method="full"
, of="portfolio", from=NULL, until=NULL, which=NULL
, scaling.periods=NULL, include.weights=TRUE
, include.costs=TRUE, use.backtest=FALSE)
## S4 method for signature 'Strategy'
ES(object, alpha = 0.05, V = 1,
type = c("normal.distribution", "historical"), method = c("full",
"linear"), of = c("portfolio", "assets"), from = NULL, until = NULL,
which = NULL, scaling.periods = NULL, include.weights = TRUE,
include.costs = TRUE, use.backtest = FALSE)
|
object |
An object of class |
alpha |
The significance level α that is used for probability of cumulative loss at level 1-α. |
V |
Volume that is invested. The linear factor for the ES calculation. Either a single value for portfolio or a vector for each asset. |
type |
Type of ES calculation. Use |
method |
Method of loss calculation. Use |
of |
ES to be calculated for assets separately or the portfolio. |
from |
The date in character format |
until |
The date in character format |
which |
Names or number of assets that should be included in calculation. |
scaling.periods |
Vector with annualization factors for calculation. Default is 252, 52, 12, 4, 1 for daily, weekly, monthly, quarterly and yearly data respectively. |
include.weights |
Only relevant if |
include.costs |
If |
use.backtest |
If |
1 2 3 4 5 6 7 8 9 10 11 12 13 | ##Not run:
# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)
# Get ES of MA(200)-Strategy portfolio
ES(myStrat.MA, from="2015-01-01", until="2015-12-31")
# Get backtest ES of MA(200)-Strategy (backtest would need to be executed first!)
# ES(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)
##End(Not run)
|
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